| 中国股票市场收益和波动溢出效应实证分析 |
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| 引用本文： | 李双成,杨桂华. 中国股票市场收益和波动溢出效应实证分析[J]. 河北经贸大学学报, 2005, 26(5): 21-24 |
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| 作者姓名： | 李双成 杨桂华 |
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| 作者单位： | 天津大学,管理学院,天津;河北经贸大学,数统学院,河北,石家庄,050061 |
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| 基金项目： | 河北省科技厅科研项目(044572101)资助 |
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| 摘 要： | 运用Granger因果检验模型和ARCH类型模型对沪深股市收益之间的关联性和波动溢出效应进行实证分析,这对于研究股市的结构和判断股市的走势及风险传递无疑具有重要的作用。结论显示:沪深股市日收益间有很强的相关性,沪市日收益的历史信息能用来改善对深市未来趋势的预测;沪深股市间存在显著的双向波动“溢出效应”。
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| 关 键 词： | Granger因果检验 ARCH模型 溢出效应 |
| 文章编号： | 1007-2101(2005)05-0021-04 |
| 修稿时间： | 2005-05-24 |
An Empirical Study of Return and Volatility Spillover on China's Stock Market |
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| LI Shuang-Cheng,YANG Gui-hua. An Empirical Study of Return and Volatility Spillover on China's Stock Market[J]. Journal Of Hebei University Of Economics and Trade, 2005, 26(5): 21-24 |
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| Authors: | LI Shuang-Cheng YANG Gui-hua |
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| Abstract: | It is of great importance for the study of stock market structure and forecast of the stock market trend and its risk transference to conduct empirical study of the return relevance and volatility spillover between Shanghai and Shenzhen stock markets with the help of Granger causality model and ARCH model. The conclusion indicates that there is a strong relevance between the return on Shanghai and Shenzhen stock markets. The historical data concerning return on Shanghai market will improve the prediction about the trend of Shenzhen market. There exists an obvious two-way volatility spillover on Shanghai and Shenzhen stock market. |
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| Keywords: | Granger causality model ARCH model volatility spillover |
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